If you need any specific behaviour here, it should be easy to enhance
your own GNUstep Windows applications with specific window functions.

Hm. I took a look at WIN32Server.m. And there's the windowEventProc::::
method, which process the events. At the end the DefWindowProc function
is called for every unhandled event. So they are lost, aren't they?

I don't understand what you mean by "lost". The default window may
actually handle some of the events we don't handle, but this is probably
not what you are refering to. All the window events that we don't turn
into an explicit OpenStep/Cocoa event wont be passed on to the front
end. Is this where you are aiming? These are a lot more than the
unhandled at the end of the method.